Maximum Quasi-Likelihood Estimation in Fractional Levy Stochastic Volatility Model

Jaya P. N. Bishwal

doi:10.1007/978-3-031-03861-7_8

ScienceGate Book Chapters

BOOK-CHAPTER

Maximum Quasi-Likelihood Estimation in Fractional Levy Stochastic Volatility Model

Jaya P. N. Bishwal

Year: 2022 Pages: 351-358

DOI: 10.1007/978-3-031-03861-7_8

Get Full-Text PDF Get Analytical Report

Keywords:

Estimator Stochastic volatility Mathematics Maximum likelihood Applied mathematics Quasi-likelihood Poisson distribution Econometrics Volatility (finance) Autoregressive conditional heteroskedasticity Exponential function Compound Poisson process Poisson process Statistics Mathematical analysis Count data

Metrics

Cited By

3.72

FWCI (Field Weighted Citation Impact)

Refs

0.93

Citation Normalized Percentile

Is in top 1%

Is in top 10%

Citation History

Topics

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Insurance, Mortality, Demography, Risk Management

Social Sciences → Social Sciences → Demography

Maximum Quasi-Likelihood Estimation in Fractional Levy Stochastic Volatility Model

Metrics

Citation History

Topics

Related Documents

Maximum Quasi-likelihood Estimation in Fractional Levy Stochastic Volatility Model

Maximum Likelihood Estimation in Nonlinear Fractional Stochastic Volatility Model

Bayesian Maximum Likelihood Estimation in Fractional Stochastic Volatility Model

Quasi-maximum likelihood estimation of stochastic volatility models

Approximate Maximum Likelihood Estimation in Sub-fractional Hybrid Stochastic Volatility Model